Time-varying linkages between energy and stock markets: Dynamic spillovers and driving factors

被引:10
作者
Feng, Huiqun [1 ]
Zhang, Jun [2 ]
Guo, Na [2 ]
机构
[1] Tianjin Univ Finance & Econ, Sch Accountancy, Tianjin, Peoples R China
[2] Tianjin Univ Finance & Econ, Sch Finance, Tianjin, Peoples R China
基金
中国国家自然科学基金;
关键词
C32; C50; G15; Dynamic spillovers; Energy market; Stock market; TVP-VAR; ASYMMETRIC VOLATILITY SPILLOVERS; IMPULSE-RESPONSE ANALYSIS; CRUDE-OIL; CONNECTEDNESS; TRANSMISSION; PRICES; POLICY; SHOCKS; INDEX; RISK;
D O I
10.1016/j.irfa.2023.102714
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Integration between international energy prices and stock market returns is critical for global economics and politics. In this study, we employ a TVP-VAR (time-varying parameter vector autoregression) connectedness decomposition approach to investigate the time-varying linkages between a diversified energy portfolio comprising oil, coal, natural gas, and stock returns in G7 countries and China. This approach allows us to show the dynamic spillovers and explore the driving factors underlying the dynamic patterns. We find that geopolitical risks, global economic policy uncertainties, and equity market volatility can influence cross-market spillovers. This study expounds the effect of energy financialization.
引用
收藏
页数:16
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